If they started there own company, they would then need to do a deal with someone like Microsoft anyway, so why not just work at the source and then you get priority on that.

Plus as a secondary, Microsoft's access to OpenAI's models, I believe they have certain rights, so it would mean they are not starting at zero again.

Starting a new company, no matter what the talent they bring, with no compute resources and starting from zero puts them way behind in what is a flat out sprint / race at the big tech companies at this point, not advisable.